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C1 means call number one (because in the question there are three possible calls) and N(z1) = N(d1). I don't know either about N((d1+d2)/2) . :)

oh, iguess its not the right answer, because its not in a risk-neutral world. What about N((d1+d2)/2) ?

I think you followed the question. Thank you very much.

Hello everbody :) I hope i'm at the right place with my question :) We have to do a homework in finance, an one question is the following: "Assume an insured portfolio containing a long position in the risk-free asset and a long position in call options. The risky postition contains...